Following "manual import" instructions on Windows: https://localwp.com/help-docs/getting-started/how-to-import-a-wordpress-site-into-local/#Manually-Import-a-Local-site.
I get the error when running wp db import db.sql in LocalWP's site shell:
Error: Failed to get current SQL modes. Reason: ERROR 2003 (HY000): Can't connect to MySQL server on 'localhost' (10061)
Use this command instead.
mysql -u root -proot local < db.sql
Source: https://community.localwp.com/t/cant-connect-to-mysql-server-on-localhost-10061/42645/3
Update
The issue is actually with the Windows Command Prompt shell. To change the Default Terminal in local go to Preferences and make sure the default terminal is Git Bash.
Once applied, you can use the wp-cli commands, such as wp db import db.sql.